Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)

Pradeep Mishra, Khder Alakkari, Mostafa Abotaleb, Pankaj Kumar Singh, Shilpi Singh, Monika Ray, Soumitra Sankar Das, Umme Habibah Rahman, Ali J. Othman, Nazirya Alexandrovna Ibragimova, Gulfishan Firdose Ahmed, Fozia Homa, Pushpika Tiwari and Ritisha Balloo
Additional contact information
Pradeep Mishra: College of Agriculture, Powarkheda, Jawaharlal Nehru Krishi Vishwavidyalaya, Jabalpur 461110, India
Khder Alakkari: Department of Statistics and Programming, Faculty of Economics, University of Tishreen, Lattakia P.O. Box 2230, Syria
Mostafa Abotaleb: Department of System Programming, South Ural State University, 454080 Chelyabinsk, Russia
Pankaj Kumar Singh: R.D. Engineering College, Ghazibad 01001, India
Shilpi Singh: R.D. Engineering College, Ghazibad 01001, India
Monika Ray: Regional Research and Technology Transfer Station (OUAT), Keonjhar 758002, India
Soumitra Sankar Das: Department of Statistics, Birsa Agricultural University, Kanke, Ranchi 834006, India
Umme Habibah Rahman: Department of Statistics, Assam University, Silchar 788011, India
Ali J. Othman: Department of Commodity Research and Commodity Expertise, Plekhanov Russian University of Economics, 117997 Moscow, Russia
Nazirya Alexandrovna Ibragimova: Department of Commodity Research and Commodity Expertise, Plekhanov Russian University of Economics, 117997 Moscow, Russia
Gulfishan Firdose Ahmed: Department of Computer Science, College of Agriculture—JNKVV, Hoshangabad 461110, India
Fozia Homa: Department of Statistics, Mathematics, and Computer Application, Bihar Agricultural University, Sabour, Bhagalpur 813210, India
Pushpika Tiwari: M. Phil (NRM), Indian Institute of Forest Management (IIFM), Bhopal 462001, India
Ritisha Balloo: Department of Law and Management, University of Mauritius, Reduit 80837, Mauritius

Data, 2021, vol. 6, issue 11, 1-15

Abstract: Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP. Therefore, this paper aimed at nowcasting GDP in India based on high-frequency data released early. Instead of using a large set of data thus increasing statistical complexity, two main indicators of the Indian economy (economic policy uncertainty and consumer price index) were relied on. The paper followed the MIDAS–Almon (PDL) weighting approach, which allowed us to successfully capture structural breaks and predict Indian GDP for the second quarter of 2021, after evaluating the accuracy of the nowcasting and out-of-sample prediction. Our results indicated low values of the RMSE in the sample and when predicting the out-of-sample1- and 4-quarter horizon, but RMSE increased when predicting the 10-quarter horizon. Due to the effect of the short-term structural break, we found that RMSE values decreased for the last prediction point.

Keywords: nowcasting real GDP; economic policy uncertainty; consumer prices index; mixed-data sampling; almon weighting; structural break (search for similar items in EconPapers)
JEL-codes: C8 C80 C81 C82 C83 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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